CCPBackTestingResultReportV01auth.066.001.01

CCPBackTestingResultReportV01
CCPBckTstgRsltRpt
Mandatory
Monthly Result
MnthlyRslt
Repetition (1..n)
Number Of Observations
NbOfObsrvtns
Mandatory
Number Of Exceptions
NbOfXcptns
Mandatory
Coverage
Cvrg
Mandatory
Largest Exception
LrgstXcptn
Mandatory

Average Exception

AvrgXcptn
Mandatory

Definition: Average marked‐to‐market exposure on accounts that exceeds the margin coverage held against those accounts.

Type: ActiveCurrencyAndAmount (Decimal)

Restrictions:

  • FractionDigits: 5
  • TotalDigits: 18
  • MinInclusive: 0

Attributes:

  • Ccy (ActiveCurrencyCode)

    Restrictions:

    • Pattern: [A-Z]{3,3}

Largest Exception Identification
LrgstXcptnId
Optional
Supplementary Data
SplmtryData
Repetition (0..n)
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